Term structure modelling of defaultable bonds

Review of Derivatives Research

Volumn 2, Issue 2-3, 1998, Pages 161-192

  Schönbucher, Philipp J ^a  

^a UNIVERSITY OF BONN   (Germany)

Author keywords

Credit spreads; Default probabilities; Default risk; Defaultable forward rates; Heath Jarrow Morton model; Recovery rates; Term structure of interest rates

Indexed keywords

EID: 54649083313     PISSN: 13806645     EISSN: None     Source Type: Journal    
DOI: 10.1007/bf01531334     Document Type: Article

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